Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications
Optimization and Control
2025-07-10 v1
Abstract
This paper is concerned with the relationship between maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems. Under the smooth assumption of the value function, relations among the adjoint processes, the generalized Hamiltonian function, and the value function are given. As an application, a linear-quadratic risk-sensitive portfolio optimization problem in the financial market is discussed.
Cite
@article{arxiv.2507.06504,
title = {Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications},
author = {Huanqing Dong and Jingtao Shi},
journal= {arXiv preprint arXiv:2507.06504},
year = {2025}
}
Comments
23 pages